Can't Parent one bone to another - this option is inactive
If you want a bone to have a parent bone you have to do the parenting while in 'Edit Mode'. At the minute you are in 'Object Mode'. From the header of the 3D view, with the armature selected, choose 'Edit Mode':



(The bone you want to be the parent will also have to be in the same armature for it to be available as the parent).